The Relationships between Sentiment, Returns and Volatility

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An empirical examination of investor sentiment and stock market volatility: evidence from India (2020, background): “Retail investors’ attention will help to mitigate the crash risk, as the retail investors’ attention will not allow any irrational or noise traders to overrun the rational market participants (Wen et al. 2019).”
Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, background): “Another set of studies examine the possibility of a causal relationship between index returns and changes in investor sentiment, failing to find any sentiment effect on short-run returns (Otoo, 1999; Jansen and Nahuis, 2003; Brown and Cliff, 2004; and Wang et al., 2006).”
High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks (2013, background): “Wang et al. (2006) state that both put-call ratio and trading index (TRIN) form most of the sentiment indicators, and reveal that sentiments can affect returns as supported by Neal and Wheatly (1998) and Wang (2001).”
Does investor sentiment really matter (2016, methodology): “Specifically, we follow Wang et al. (2006) and use a ratio of the bullish percentage to the bearish percentage as our measure of sentiment for individual investors.”